Hedgewall · Daily

The Closing Tape

WED 23 SEP 202615:39 IST

NIFTY finished pinned to a strike, and the other two went nowhere in particular.

All 3 fell below their opening print in the morning, ground back through the afternoon, and shut inside ranges no wider than 0.51 percent.

NIFTY

23,446.80

+82.20 pts +0.352% since the open

LOW 23,359.85HIGH 23,460.40

The bar is the sampled range. The dark notch is the first sample, the blue block is the close.

Where the close sits

	Gamma flip 544.41 pts above	23,991.21
	Max gamma strike 153.20 pts above	23,600.00
	Call wall 53.20 pts above	23,500.00
	CLOSE	23,446.80
	Zero gamma 15.78 pts below	23,431.02
	Put wall 46.80 pts below	23,400.00

Opened 23,364.60 and closed 23,446.80, 82.20 points up. It finished between the zero gamma at 23,431 and the call wall at 23,500, 53.20 points under the nearer one above. Hedging dampens from here.

Regime: POSITIVE GAMMA
Net GEX: +1,56,919 Cr
ATM IV: 8.73%
Expiry: 6.00 days to 2026-09-29

BANKNIFTY

56,548.90

+192.75 pts +0.342% since the open

LOW 56,330.50HIGH 56,615.85

Where the close sits

	Gamma flip 957.42 pts above	57,506.32
	Max gamma strike + call wall 451.10 pts above	57,000.00
	CLOSE	56,548.90
	Put wall 48.90 pts below	56,500.00
	Zero gamma 162.21 pts below	56,386.69

Opened 56,356.15 and closed 56,548.90, 192.75 points up. It finished between the put wall at 56,500 and the max gamma strike + call wall at 57,000, 451.10 points under the nearer one above. Hedging dampens from here.

Regime: POSITIVE GAMMA
Net GEX: +45,035 Cr
ATM IV: 10.29%
Expiry: 6.00 days to 2026-09-29

SENSEX

74,828.25

+173.20 pts +0.232% since the open

LOW 74,609.46HIGH 74,963.61

Where the close sits

	Max gamma strike + call wall 171.75 pts above	75,000.00
	Zero gamma 69.32 pts above	74,897.57
	CLOSE	74,828.25
	Put wall 128.25 pts below	74,700.00

Opened 74,655.05 and closed 74,828.25, 173.20 points up. It finished between the put wall at 74,700 and the zero gamma at 74,898, 69.32 points under the nearer one above. Hedging amplifies from here.

Regime: NEGATIVE GAMMA
Net GEX: −71,234 Cr
ATM IV: 11.89%
Expiry: 1.00 days to 2026-09-24

Delta · which side is heavy

Calls to the right in gold, puts to the left in violet, all three on one shared scale. Net is what survives when they cancel.

NIFTYnet −12,54,988 Cr

puts -55,64,625calls +43,09,637

BANKNIFTYnet −2,14,201 Cr

puts -8,14,218calls +6,00,017

SENSEXnet −37,104 Cr

puts -7,37,966calls +7,00,862

Cr of delta-notional, standing open interest at 15:39 IST.

Flows · the book against today

The first bar is every open contract that exists. The second is only what changed today. Opposite directions mean today pushed against the position rather than adding to it.

NIFTY

Standing book−12,54,988 Cr

Today's flow−6,39,460 Cr

BANKNIFTY

Standing book−2,14,201 Cr

Today's flow−88,491 Cr

SENSEX

Standing book−37,104 Cr

Today's flow−2,72,249 Cr

Blue is long delta, red is short. Flow is this session against the previous close.

How to read the ladders

Call wall heaviest call open interest above spot
Put wall heaviest put open interest below spot
Gamma levels max gamma strike, zero gamma, the flip
Close where it actually finished

What these numbers are

Open, high and low mean the first, highest and lowest of 186 samples taken between 09:16 and 15:40 IST, not the exchange’s official prints, and the close is the last price we sampled rather than the settlement price. GEX is normalised to five days and compares across days for one index, never between indices. Volume reads zero at every strike after the close, so no volume figure appears above.

Same time tomorrow.

This is a description, not advice. It reports what the options book measured at the close on 23 September 2026. Nothing in it is a recommendation to buy, sell or hold any security, and Hedgewall is not a registered investment adviser.

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